Perfect option hedging and the hedge ratio

DOI10.1016/0165-1765(89)90114-6zbMath1375.91228OpenAlexW2037695455WikidataQ126401444 ScholiaQ126401444MaRDI QIDQ5915739

Sigrid M. Müller

Publication date: 9 November 2017

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(89)90114-6

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Arbitrage pricing of contingent claims
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Semimartingales: A course on stochastic processes

This page was built for publication: Perfect option hedging and the hedge ratio